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Hedge fund replication

Author: Greg N Gregoriou; Maher Kooli
Publisher: Houndmills, Basingstoke, Hampshire ; New York : Palgrave Macmillan, 2012.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

While there may be a consensus in the industry that hedge funds clones will bring better liquidity and lower fees, it is still debatable whether replication products should serve as a complement in  Read more...

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Document Type: Book
All Authors / Contributors: Greg N Gregoriou; Maher Kooli
ISBN: 9780230336810 0230336817
OCLC Number: 759050029
Description: xxiv, 193 pages : illustrations ; 23 cm
Contents: Can we really "clone" hedge fund returns? Further evidence / Maher Kooli and Sameer Sharma --
Hedge fund replication: does model combination help? / Jérôme Teïletche --
Factor-based hedge fund replication with risk constraints / Richard D.F. Harris and Murat Mazibas --
Takeover probabilities and the opportunities for hedge funds and hedge fund replication to produce abnormal gains / Anthony Ravi, Peter Mayall, and John Simpson --
Benchmarking of replicated hedge funds / Martin D. Wiethuechter and Lajos Németh --
Insight--distributional hedge fund replication via state contingent stochastic dominance / Clemens H. Glaffig --
Nonparametric hedge funds and replication indices performance analysis: a robust directional application / Laurent Germain, Nicolas Nalpas, and Anne Vanhems --
Hedge fund cloning through state space models / Roberto Savona --
Hedge fund return replication via learning models / R. McFall-Lamm Jr. --
Linear model for passive hedge fund replication / Giovanni Barone-Adesi and Simone Siragusa --
Can hedge fund-like returns be replicated in a regulated environment? / Iliya Markov and Nils S. Tuchschmid --
A factor-based application to hedge fund replication / Marco Rossi and Sergio L. Rodríguez.
Responsibility: edited by Greg N. Gregoriou and Maher Kooli.
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